Estimation of dynamic VaR using JSU and PIV distributions
Year of publication: |
August 2016
|
---|---|
Authors: | Venkataraman, Sree Vinutha ; Rao, S. V. D. Nageswara |
Published in: |
Risk management : a journal of risk, crisis and disaster. - Basingstoke : Palgrave Macmillan, ISSN 1460-3799, ZDB-ID 2227982-9. - Vol. 18.2016, 2/3, p. 111-134
|
Subject: | Value at risk | ARMA | GARCH | Johnson’s SU distribution (JSU) | Pearson type IV distribution (PIV) | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Theorie | Theory | Schätzung | Estimation |
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